State-space representation of gaussian processes for regression and efficient inference in latent force model

Gaussian process regression is a non-parametric Bayesian machine learning paradigm, where instead of estimating parameters of fixed-form functions, we model the whole unknown functions as Gaussian processes. Gaussian processes are also commonly used for representing uncertainties in models of dynamic systems in many applications such as tracking, navigation, and automatic control systems. The latter models are often formulated as state-space models, where the use of non-linear Kalman filter type of methods is common. The aim of this talk is to discuss connections of Kalman filtering methods and Gaussian process regression. In particular, I discuss representations of Gaussian processes as state-space models, which enable the use of computationally efficient Kalman-filter-based (or more general Bayesian-filter-based) solutions to Gaussian process regression problems. This also allows for computationally efficient inference in latent force models (LFM), which are models combining first-principles mechanical models with non-parametric Gaussian process regression models.